CAPE Barclays Shiller CAPE Index ETN

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CAPE Barclays Shiller CAPE Index ETN

This is an exchange traded note issued by Barclays Bank that is linked to the performance of the Shiller Barclays CAPE US Core Sector Index. On a monthly basis, the Index calculates the CAPE (Cyclically Adjusted Price Earnings) ratio of the nine GICS sectors of the S&P 500. As of today, there are actually eleven GICS sectors, but the Index looks at nine sectors because the real estate sector is combined with the financials sector and the telecommunications sector is combined with the technology sector. The Index ranks the nine sectors by the CAPE ratio, and selects the five sectors with the lowest CAPE ratio. The Index then ranks those five sectors based on price momentum over the past twelve months. The sector with the lowest ranking is eliminated from the Index. The Index then allocates an equally weighted notional long position in the total return version of the four remaining S&P 500 sector indexes.

$22.07  +0.04 (0.18%)
As of 10/22/2021 16:00:00 EST     IEX book   CBOE book


ETN Information
Sponsor:     Barclays ETNs
Category1:  US Equity
Category2:  Broad market
Category3:  Large cap
Morningstar category:  Large Value
Leverage factor:  1.00
Inception date:  10/10/2012
Current yield:  0.00%
Historical average yield:  0.00%
Market cap:  $413,714,208
Average volume:  39,755
Fees:     0.4500%

Index Information
Shiller Barclays CAPE US Core Sector Index
Index symbol:  BXRTCCST
Provider:   Shiller Barclays
Note: Tracks a total return index
Index weighting:   Equal weighted
Index inception date:  09/12/2012
Backtesting data exists:   Yes
Number of holdings:  4
Strategy:  Sector rotation
Rebalanced:  Monthly
Reconstituted:  Monthly
Factors used to select securities:

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